Christian Dunis

John Moores University - Business School

John Foster Building

98 Mount Pleasant

Liverpool, L3 5UZ

United Kingdom

  • John Moores University - Business School

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 5,979

SSRN RANKINGS

Top 5,979

in Total Papers Downloads

13,806

SSRN CITATIONS

8

CROSSREF CITATIONS

2

Scholarly Papers (5)

Actions:
Email selected abstracts
1.

Profitable Mean Reversion after Large Price Drops: A Story of Day and Night in the S&P 500, 400 Mid Cap and 600 Small Cap Indices

Journal of Asset Management, Vol. 12, 3, 185-202, 2010
Number of pages: 22 Posted: 01 Jun 2013 Last Revised: 27 Nov 2014
Christian Dunis, Jason Laws and Jozef Rudy
John Moores University - Business School, University of Liverpool - Accounting and Finance Division and Harvest Alpha Capital
Downloads 7,486 (1,807)
Citation 1

Abstract:

Loading...

Price shock, overreaction, delayed reaction, contrarian profits, multi-factor models

2.

Statistical Arbitrage and High-Frequency Data with an Application to Eurostoxx 50 Equities

Number of pages: 31 Posted: 01 Jun 2013 Last Revised: 03 Jun 2013
Jozef Rudy, Christian Dunis, Gianluigi Giorgioni and Jason Laws
Harvest Alpha Capital, John Moores University - Business School, University of Liverpool Managment School and University of Liverpool - Accounting and Finance Division
Downloads 2,987 (8,488)
Citation 9

Abstract:

Loading...

High-frequency data, statistical arbitrage, pairs trading, cointegration, time adaptive models

3.

Mean Reversion Based on Autocorrelation: A Comparison Using the S&P 100 Constituent Stocks and the 100 Most Liquid ETFs

ETF Risk, 2013, October, 36-41
Number of pages: 24 Posted: 01 Jun 2013 Last Revised: 27 Nov 2014
Christian Dunis, Jason Laws and Jozef Rudy
John Moores University - Business School, University of Liverpool - Accounting and Finance Division and Harvest Alpha Capital
Downloads 1,952 (16,603)

Abstract:

Loading...

Mean reversion, ETFs, pairs trading, autocorrelation

4.

Profitable Pair Trading: A Comparison Using the S&P 100 Constituent Stocks and the 100 Most Liquid ETFs

Number of pages: 19 Posted: 02 Jun 2013
Jozef Rudy, Christian Dunis and Jason Laws
Harvest Alpha Capital, John Moores University - Business School and University of Liverpool - Accounting and Finance Division
Downloads 1,170 (35,905)
Citation 2

Abstract:

Loading...

Statistical arbitrage, ETFs, pairs trading, time adaptive models

5.

Foreign Exchange, Fractional Cointegration and the Implied-Realized Volatility Relation

Number of pages: 30 Posted: 06 Mar 2007 Last Revised: 26 Mar 2008
Neil Kellard, Christian Dunis and Nicholas Sarantis
University of Essex - Essex Business School, John Moores University - Business School and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 211 (278,762)
Citation 5

Abstract:

Loading...

market efficiency, traded volatility, narrow band least squares, fractional cointegration, bootstrap

Other Papers (1)

Total Downloads: 137
Actions:
Email selected abstracts
1.

Foreign Exchange, Fractional Cointegration and the Implied-Realised Volatility Relation

Number of pages: 26 Posted: 04 Mar 2005
Neil Kellard, Christian Dunis and Nicholas Sarantis
University of Essex - Essex Business School, John Moores University - Business School and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 137

Abstract:

Loading...

market efficiency, traded volatility, fractional cointegration